This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection … using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained … frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we …

We model the interactions between the trading activities of a large investor, the stock price and the market liquidity …. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity … vary due to changes in liquidity. Features of our model are demonstrated using Monte Carlo simulation for different …

is increased by liquidity but reduced by adverse selection. By pushing up prices at the traditional venue and parallel …

confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose … as it reduces ex-post market participation, which worsens adverse selection and dries up market liquidity; (3) liquidity … idiosyncratic, privately known, illiquidity shocks, I show that: (5) it increases market liquidity; (6) illiquid agents are better …

-varying liquidity risks. …

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand … the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature …